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Quantitative Finance Volume 13, 2013 - Issue 10: Themed Issue on Fund Management
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Research Papers

Minimizing shortfall

Lisa R. Goldberg Coleman Fung Risk Management Research Center and Department of Statistics, University of California, Berkeley, CA, USACorrespondence[email protected]
,
Michael Y. Hayes MSCI Inc., 2100 Milvia Street, Berkeley, CA, 94704, USA
&
Ola Mahmoud MSCI Inc., 2100 Milvia Street, Berkeley, CA, 94704, USA
Pages 1533-1545 | Received 08 Mar 2011, Accepted 26 Jul 2012, Published online: 09 Jan 2013

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Read on this site (2)

Oliver Janke & Qinghua Li. (2016) Portfolio optimization under shortfall risk constraint. Optimization 65:9, pages 1733-1755.
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J. Bohn. (2015) Financial Modeling, Actuarial Valuation and Solvency in Insurance. Quantitative Finance 15:5, pages 735-740.
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Francesco Cesarone, Fabiomassimo Mango, Carlo Domenico Mottura, Jacopo Maria Ricci & Fabio Tardella. (2020) On the stability of portfolio selection models. Journal of Empirical Finance 59, pages 210-234.
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Stephen W Bianchi, Lisa R Goldberg & Allan Rosenberg. (2017) The Impact of Estimation Error on Latent Factor Model Forecasts of Portfolio Risk. The Journal of Portfolio Management 43:5, pages 147-156.
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Dimitrios Gounopoulos, Emmanouil Platanakis, Gerry Tsoukalas & Haoran Wu. (2022) When Bayes-Stein Meets Machine Learning: A Generalized Approach for Portfolio Optimization. SSRN Electronic Journal.
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Cristian Homescu. (2014) Tail Risk Protection in Asset Management. SSRN Electronic Journal.
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